RE: st: list x matrix

The approach that Kit recommends is spelled out at greater length in
FAQ . . . . . . . . . . . . . . . . . . . . . . . Do-it-yourself
R-squared
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N.
J. Cox
9/03 How can I get an R-squared value when a Stata command
does not supply one?
http://www.stata.com/support/faqs/stat/rsquared.html
The Statalist FAQ does draw attention to the FAQs as a way of answering
many questions. -search- does search the FAQs as well.
Nick
n.j.cox@durham.ac.uk
Kit Baum replied to Richard Boylan
Richard Boylan
==============
The problem was as follows.
The regression is y = x b + e. (1)
However, to estimate it (b/c of a variety of issues such
autocorrelation, system of equation with correlated errors), the model
that I end up estimating is
yt = xt b + z c + v, (2)
where yt is a transformation of y, xt is a transformation of x, and z
are variables from the other regressions.
So, what I need to do is to get the estimates of b from (2) and plug
back into (1) to compute my R^2.
Kit Baum
========
An R^2 measure for any model can almost always be computed from the
simple correlation between Y and Yhat, so if you can construct a
predicted value from the equation you estimate "if e(sample)" for yt,
and apply the inverse transformation that gets you back to yhat, just
compute the square of that correlation.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/